Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

详细信息    查看全文

• 作者：Guglielmo Maria Caporale ; Luis Gil-Alana ; Alex Plastun…
• 关键词：Efficient market hypothesis ; Intraday patterns ; Time of the day anomaly ; Trading strategy ; G12 ; C63
• 刊名：Computational Economics
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：47
• 期：2
• 页码：275-295
• 全文大小：1,553 KB
• 参考文献：Abhyankar, A., Ghosh, D., Levin, E., & Limmack, R. (1997). Bid-ask spreads, trading volume and volatility: Intra-day evidence from the London stock exchange. Journal of Business Finance & Accounting, 24(3 & 4), 343–362.CrossRef
  Admati, A., & Pfleiderer, P. (1988). A theory of intraday patterns: Volume and price variability. The Review of Financial Studies, 1(1), 3–40.CrossRef
  Akerlof, G. A., & Shiller, R. J. (2009). Animal spirits: How human psychology drives the economy, and why it matters for global capitalism. Princeton: Princeton University Press.
  Brooks, C., Hinich, M., & Patterson, D. (2003). Intra-day patterns in the returns, bid-ask spreads, and trading volume of stocks traded on the New York stock exchange. ICMA Centre Discussion Papers in Finance icma-dp2003-14, Henley Business School, Reading University.
  Camino, D. (1996). The role of information and trading volume on intradaily and weekly returns pattern in the Spanish stock market. Business economics series 01, working paper 96–10 Departamento de Economía de la Empresa Universidad Carlos III de Madrid.
  Çankaya, S., Eken, H., & Ulusoy, V. (2012). The impact of short selling on intraday volatility: Evidence from the Istanbul stock exchange. International Research Journal of Finance and Economics, 93, 202–212.
  Chan, A. (2005). Relationship between trading at ask price and the end-of-day effect in Hong Kong stock exchange investment management and financial. Innovations, 4, 124–136.
  Coroneo, L., & Veredas, D. (2006). Intradaily seasonality of returns distributuion: A quantile regression approach and intradaily VaR estimation. CORE discussion paper: Center for operations research and econometrics.
  Dimson, E. (1988). Stock market anomalies. New York: Cambridge University Press. 295 p.
  Fama, E. F. (1965). The behavior of stock-market prices. The Journal of Business, 38(1), 34–105.CrossRef
  Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25, 383–417.CrossRef
  Grossman, S., & Stiglitz, J. (1980). On the impossibility of informationally efficient markets. American Economic Review, 70, 393–408.
  Harris, L. (1986). A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, 16, 99–117.CrossRef
  Harris, L. (1989). A day-end transactions price anomaly. Journal of Financial and Quantitative Analysis, 24, 29–45.CrossRef
  Jacobsen, B., Mamun, A., & Visaltanachoti, N (2005). Seasonal, size and value anomalies. Working Paper, Massey Univeristy, University of Saskatchewan.
  Jensen, M. C. (1978). Some anomalous evidence regarding market efficiency. Journal of Financial Economics, 6, 95–102.CrossRef
  Kuhn, T. (1970). The structure of scientific revolutions (2nd ed.). Chicago: University of Chicago Press.
  Levy, H. (2002). Fundamentals of investments. London: Financial Times Prentice Hall Books.
  Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolio and capital budgets. Review of Economics and Statistics, 47(1), 13–37.CrossRef
  Mandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, 36(4), 394–419.CrossRef
  Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768–783.CrossRef
  Raghubir, P., & Das, S. (1999). The psychology of financial decision making: A case for theory-driven experimental inquiry. Financial Analysts Journal (Special Issue on Behavioral Finance), 55, 55–80.
  Samuelson, P. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6(2), 41–49.
  Schwert, G. W. (2003). Handbook of the economics of finance, chapter 15. In G. M. Constantinides, M. Harris, & R. M. Stulz (Eds.), Anomalies and market efficiency (1st ed., Vol. 1, pp. 939–974). Amsterdam: Elsevier.
  Sharpe, W. (1965). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442.
  Shiller, R. J. (2000). Irrational exuberance. Princeton: Princeton University Press.
  Strawinski, P., & Slepaczuk, R. (2008). Analysis of high frequency data on the Warsaw stock exchange in the context of efficient market hypothesis. Journal of Applied Economic Sciences, 3(5), 306–319.
  Thaler, R. (1987). Seasonal movements in security prices II: Weekend, holiday, turn of the month, and intraday effects. Economic Perspectives, 1(1), 169–177.CrossRef
  Tissaoui, K. (2012). The intraday pattern of trading activity, return volatility and liquidity: Evidence from the emerging Tunisian stock exchange. International Journal of Economics and Finance, 4(5), 156–176.CrossRef
  Treynor, J. (1962). Towards a theory of market value of risky assets. Unpublished paper. “Rough draft” dated by Mr. Treynor to the fall on 1962. A final version was published in 1999, in Asset Pricing and Portfolio Perfomance. Robert A. Korajczyk (Ed.) (pp. 15–22). London: Risk Books.
  Wood, R., McInish, T., & Ord, J. (1985). An investigation of transactions data for NYSE stocks. The Journal of Finance, 40(3), 723–739.CrossRef
  
• 作者单位：Guglielmo Maria Caporale (1) (2)
  Luis Gil-Alana (3)
  Alex Plastun (4)
  Inna Makarenko (4)
  
  1. Department of Economics and Finance, Brunel University, London, UB8 3PH, UK
  2. CESifo and DIW Berlin, Berlin, Germany
  3. University of Navarra, Pamplona, Spain
  4. Ukrainian Academy of Banking, Sumy, Ukraine
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Economic Theory
  
• 出版者：Springer Netherlands
• ISSN：1572-9974

文摘

One of the leading criticisms of the efficient market hypothesis is the presence of so-called “anomalies”, i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their existence implies that in fact traders might not be able to make abnormal profits. This paper examines whether or not anomalies such as intraday or time of the day effects give rise to exploitable profit opportunities by replicating the actions of traders. Specifically, the analysis is based on a trading robot which simulates their behaviour, and incorporates variable transaction costs (spreads). The results suggest that trading strategies aimed at exploiting daily patterns do not generate extra profits. Further, there are no significant differences between sub-periods (2005–2006—“normal”; 2007–2009—“crisis”; 2010–2011—“post-crisis). Keywords Efficient market hypothesis Intraday patterns Time of the day anomaly Trading strategy